Testing for Linear and Log-Linear Regressions with Heteroscedasticity
This paper considers the problem of jointly testing for linear and log-linear regressions with heteroscedasticity. Lagrange multiplier tests are suggested; which do not require the heteroscedastic structures to be specified and are computationally easier than likelihood ratio tests.
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Institutional Knowledge at Singapore Management University
1984
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sg-smu-ink.soe_research-11712010-09-23T05:48:03Z Testing for Linear and Log-Linear Regressions with Heteroscedasticity TSE, Yiu Kuen This paper considers the problem of jointly testing for linear and log-linear regressions with heteroscedasticity. Lagrange multiplier tests are suggested; which do not require the heteroscedastic structures to be specified and are computationally easier than likelihood ratio tests. 1984-01-01T08:00:00Z text https://ink.library.smu.edu.sg/soe_research/172 info:doi/10.1016/0165-1765(84)90143-5 Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Econometrics |
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English |
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Econometrics |
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Econometrics TSE, Yiu Kuen Testing for Linear and Log-Linear Regressions with Heteroscedasticity |
| description |
This paper considers the problem of jointly testing for linear and log-linear regressions with heteroscedasticity. Lagrange multiplier tests are suggested; which do not require the heteroscedastic structures to be specified and are computationally easier than likelihood ratio tests. |
| format |
text |
| author |
TSE, Yiu Kuen |
| author_facet |
TSE, Yiu Kuen |
| author_sort |
TSE, Yiu Kuen |
| title |
Testing for Linear and Log-Linear Regressions with Heteroscedasticity |
| title_short |
Testing for Linear and Log-Linear Regressions with Heteroscedasticity |
| title_full |
Testing for Linear and Log-Linear Regressions with Heteroscedasticity |
| title_fullStr |
Testing for Linear and Log-Linear Regressions with Heteroscedasticity |
| title_full_unstemmed |
Testing for Linear and Log-Linear Regressions with Heteroscedasticity |
| title_sort |
testing for linear and log-linear regressions with heteroscedasticity |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
1984 |
| url |
https://ink.library.smu.edu.sg/soe_research/172 |
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1770569055569182720 |